Projects / Credit Analytics

Credit Analytics

CreditAnalytics is a financial fixed-income credit analytics, credit risk, bond analytics, and bond risk library, developed with a special focus towards the needs of the credit trading and bond trading community (CDS, CDX, CDO, and bonds of all types and variants).


Last announcement

Credit Analytics 1.6 Release 22 Aug 2012 17:50

CreditAnalytics provides the functionality behind creation, calibration, and implementation of the curve, the parameter, and the product interfaces defined in CreditProduct. It also implements a curve/parameter/product/analytics management environment, and has packaged samples and testers. CreditAnalytics library achieves its design goal by implementing its functionality over several packages: •Curve calibration and creation: Functional implementation and creation factories for rates curves, credit curves, and FX curves of al types •Market Parameter implementation and creation: Implementation and creation of quotes, component/basket market parameters, as well as scenario parameters. •Product implementation and creation: Implementation and creation factories for rates products (cash/EDF/IRS), credit products (bonds/CDS), as well as basket products. •Reference data/marks loaders: Loaders for bond/CDX, as well a sub-universe of closing marks •Calculation Environment Manager: Implementation of the market parameter container, manager for live/closing curves, stub/client functionality for serverization/distribution, input/output serialization. •Samples: Samples for curve, parameters, product, and analytics creation and usage •Unit functional testers: Detailed unit scenario test of various analytics, curve, parameter, and product functionality.

Recent releases

  •  24 Jan 2014 16:36

    Release Notes: This release adds basis spline library extensions, b spline functionality, spline-based discount curve build-out, spline-based forward curve build-out, and canned product metric calculation.

    •  15 Aug 2013 17:19

      Release Notes: This release adds CreditAnalytics integration with a non-linear fixed-point searcher, a rich set of Bloomberg samples, product/curve Jacobian generation, serverization of CreditAnalytics, and CreditAnalytics integration with the basis spline library.

      •  12 Mar 2013 20:37

        Release Notes: Fast, multi-layer, interpolating curve building. Fast calibration of CDS/bond measures. Calculation of Curve Self-Jacobian. Calculation of Product Measure Jacobian. Monte-Carlo based Product Algorithmic Differentiation.

        •  22 Aug 2012 17:56

          Release Notes: This release separates CreditProduct and CreditAnalytics, adds curve, parameter, and product re-factoring, and adds BBG CDS samples.

          •  29 May 2012 02:35

            Release Notes: This release added a regressor framework, discount curve regression, credit curve regression, fx curve regression, and zero curve regression.


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